Add default params_to_tune for feature selection transforms

[Mr-Geekman]

Before submitting (must do checklist)

• Did you read the contribution guide?
• Did you update the docs? We use Numpy format for all the methods and classes.
• Did you write any new necessary tests?
• Did you update the CHANGELOG?

Proposed Changes

Look #1223. We forgot there about mrmr.

Closing issues

Closes #1223.

[github-actions]

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[codecov-commenter]

Codecov Report

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